新股询价配给规则与IPO价格形成的进化博弈分析

Abstract

Abstract: At present, the essence of allocation rules in bookbuilding is that the one who offers the highest price obtains the stock. In this work, another principal is proposed that the one who offers the closest price obtains the stock. A one-group replicator dynamic model for the inquiry institution investors is established based on evolutionary game theory, and institutional investors' bidding behavior, IPO price formation in bookbuilding under the present highest price principle and the proposed closed pricing principal are investigated. Additionally, China SME Board IPO data from June 2009 to October 2010 are selected for subsequent numerical analysis of the ESS (Evolutionary stable strategy) under the two principles. It is shown that, when the expected mean of IPO underpricing is large enough, the inquiry institution investors will tend to choose high bidding under the highest pricing principle, and reasonable bidding under the closest principle. Thus proposed principle in this paper is then potentially capable to increase the efficiency of IPO bookbuilding if the current IPO allocation rule is changed.

Key words: evolutionary game, allocation rules, institutional investors&rsquo, bidding behavior, IPO price

CLC Number:

F830.91

JIANG Ting. Evolutionary Game Analysis of the Allocation Rules and IPO Price Formation in Bookbuilding[J]. Chinese Journal of Management Science, 2014, 22(6): 10-16.

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Evolutionary Game Analysis of the Allocation Rules and IPO Price Formation in Bookbuilding

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